Suppose the current value of a popular stock index is 651.50 and the dividend yield on the index is 2.8%. Also, the yield curve is flat at a continuously compounded rate of 5.5%.

1. If you estimate the volatility factor for the index to be 20%, use the Black-Scholes model to calculate the value of an index call option with an exercise price of 666 and an expiration date in exactly three months. You may use Appendix D to answer the question. Do not round intermediate calculations. Round your answer to the nearest cent.

   $

2. If the actual market price of this option is $23.10, calculate the implied volatility coefficient. Do not round intermediate calculations. Round your answer to two decimal places.

   %